Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk

DOI10.1016/j.jedc.2016.05.002zbMath1401.91154OpenAlexW2359697135MaRDI QIDQ1656799

Ralf Kellner, Daniel Rösch

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.05.002

zbMATH Keywords

value-at-riskmodel riskexpected shortfallcapital requirements

Mathematics Subject Classification ID

Related Items (1)

Solvency II solvency capital requirement for life insurance companies based on expected shortfall

Uses Software

• QRM

Cites Work

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